Extruding Multiple Curves At Once
You can have one curve object with multiple segments or you can have multiple curve objects each with one segment. Sounds like you have multiple curve objects, in which case you need to extrude each object separately. You could joint multiple curve objects into one by selecting them all and pressing CtrlJ so that they all use the same extrude setting.

With multiple objects you can see that each one has it's own item in the outliner.



After joining them all together there is only one item.